{
  "schema_version": "1.0",
  "signal_id": "volume-spike-without-price-move",
  "slug": "volume-spike-without-price-move",
  "family": "volume",
  "registry_version": 1,
  "registered_on": "2026-09-05",
  "computed_at": "2026-09-05T09:40:52Z",
  "code_commit": "283c309",
  "data_as_of": "2026-08-06",
  "universe_as_of": "point-in-time",
  "sample_grade": "STRONG",
  "headline_horizon": 5,
  "title": "Volume spike without price move",
  "plain_english": "Volume was at least three times the stock's own twenty-day average while the closing price barely moved \u2014 under 1% either way.",
  "definition": "volume[t] >= 3.0 * avg(volume, 20)[t]\nAND abs(close[t] / close[t-1] - 1) <= 0.01",
  "headline_parameters": {
    "volume_multiple": 3.0,
    "move_cap": 0.01
  },
  "sample": {
    "n_raw": 9438,
    "n_eff": 9111.0,
    "deff": 1.036,
    "rho": 0.0175,
    "m_bar": 3.05,
    "n_eff_raw_design": 7531.3,
    "rho_raw_design": 0.1234,
    "deff_raw_design": 1.253,
    "distinct_stocks": 1502,
    "distinct_dates": 3092,
    "date_range": [
      "2011-10-05",
      "2026-08-05"
    ],
    "censoring_rate": 0.00509,
    "max_quarter_share": 0.0353,
    "max_stock_share": 0.0063,
    "max_sector_share": null,
    "control_rung_distribution": {
      "0": 0.7455,
      "1": 0.2271,
      "2": 0.0272,
      "3": 0.0002,
      "4": 0.0
    },
    "mean_controls_per_event": 19.03
  },
  "horizons": [
    {
      "days": 1,
      "n_eff": 9076.5,
      "hit_rate": 0.4251,
      "control_hit_rate": 0.4244,
      "lift": 0.0007,
      "lift_ci95": [
        -0.0103,
        0.0116
      ],
      "lift_ci_method": "cluster_bootstrap_date_block_B10000_BCa",
      "lift_p_value": 0.9198,
      "median_change": -0.00297,
      "control_median_change": -0.00266,
      "excess_median": -0.0003,
      "trimmed_mean_change": -0.00224,
      "spread": {
        "p10": -0.0303,
        "p25": -0.016,
        "p75": 0.0093,
        "p90": 0.0269
      },
      "mfe": 0.0128,
      "mae": -0.0152,
      "break_even_hit_rate": 0.5556,
      "break_even_assumptions": {
        "bracket": 0.02,
        "round_trip_cost": 0.002225,
        "impact": 0.0
      },
      "benchmark_median_change": 0.0,
      "interval_includes_zero": true,
      "interval_check": {
        "bootstrap_half_width": 0.01098,
        "analytic_clustered_half_width": 0.01006,
        "wilson_on_n_eff_half_width": 0.01017,
        "ratio_bootstrap_to_analytic": 1.091,
        "ratio_bootstrap_to_wilson_on_rate": 1.079
      },
      "n_eff_raw_design": 8166.5
    },
    {
      "days": 3,
      "n_eff": 9193.1,
      "hit_rate": 0.4618,
      "control_hit_rate": 0.4614,
      "lift": 0.0003,
      "lift_ci95": [
        -0.0105,
        0.0113
      ],
      "lift_ci_method": "cluster_bootstrap_date_block_B10000_BCa",
      "lift_p_value": 0.9618,
      "median_change": -0.00269,
      "control_median_change": -0.00231,
      "excess_median": -0.00038,
      "trimmed_mean_change": -0.00131,
      "spread": {
        "p10": -0.0506,
        "p25": -0.0256,
        "p75": 0.0196,
        "p90": 0.0499
      },
      "mfe": 0.0228,
      "mae": -0.0244,
      "break_even_hit_rate": 0.5556,
      "break_even_assumptions": {
        "bracket": 0.02,
        "round_trip_cost": 0.002225,
        "impact": 0.0
      },
      "benchmark_median_change": -0.0014,
      "interval_includes_zero": true,
      "interval_check": {
        "bootstrap_half_width": 0.0109,
        "analytic_clustered_half_width": 0.00988,
        "wilson_on_n_eff_half_width": 0.01019,
        "ratio_bootstrap_to_analytic": 1.103,
        "ratio_bootstrap_to_wilson_on_rate": 1.07
      },
      "n_eff_raw_design": 7657.8
    },
    {
      "days": 5,
      "n_eff": 9111.0,
      "hit_rate": 0.4571,
      "control_hit_rate": 0.4703,
      "lift": -0.0132,
      "lift_ci95": [
        -0.0231,
        -0.0032
      ],
      "lift_ci_method": "cluster_bootstrap_date_block_B10000_BCa",
      "lift_p_value": 0.009,
      "median_change": -0.00399,
      "control_median_change": -0.00221,
      "excess_median": -0.00177,
      "trimmed_mean_change": -0.00103,
      "spread": {
        "p10": -0.0647,
        "p25": -0.0321,
        "p75": 0.0267,
        "p90": 0.0657
      },
      "mfe": 0.0296,
      "mae": -0.031,
      "break_even_hit_rate": 0.5556,
      "break_even_assumptions": {
        "bracket": 0.02,
        "round_trip_cost": 0.002225,
        "impact": 0.0
      },
      "benchmark_median_change": -0.00369,
      "interval_includes_zero": false,
      "interval_check": {
        "bootstrap_half_width": 0.00995,
        "analytic_clustered_half_width": 0.00984,
        "wilson_on_n_eff_half_width": 0.01023,
        "ratio_bootstrap_to_analytic": 1.012,
        "ratio_bootstrap_to_wilson_on_rate": 0.973
      },
      "n_eff_raw_design": 7531.3,
      "distribution": {
        "bin_lo": -0.13134,
        "bin_hi": 0.17225,
        "bin_width": 0.012144,
        "event_share": [
          0.00545,
          0.0097,
          0.01101,
          0.01831,
          0.02649,
          0.03575,
          0.05232,
          0.0678,
          0.09058,
          0.11195,
          0.1356,
          0.10737,
          0.08175,
          0.06322,
          0.04981,
          0.03575,
          0.02703,
          0.0194,
          0.01472,
          0.01101,
          0.00709,
          0.00567,
          0.0048,
          0.00327,
          0.00414
        ],
        "control_share": [
          0.00433,
          0.0064,
          0.00986,
          0.01487,
          0.02303,
          0.03457,
          0.05086,
          0.07045,
          0.09538,
          0.11643,
          0.12791,
          0.112,
          0.0872,
          0.06733,
          0.04928,
          0.03588,
          0.0264,
          0.01967,
          0.01412,
          0.01032,
          0.00818,
          0.00574,
          0.00419,
          0.00296,
          0.00264
        ]
      }
    },
    {
      "days": 10,
      "n_eff": 9198.8,
      "hit_rate": 0.4844,
      "control_hit_rate": 0.4844,
      "lift": -0.0,
      "lift_ci95": [
        -0.0112,
        0.011
      ],
      "lift_ci_method": "cluster_bootstrap_date_block_B10000_BCa",
      "lift_p_value": 0.9968,
      "median_change": -0.00169,
      "control_median_change": -0.00152,
      "excess_median": -0.00017,
      "trimmed_mean_change": 0.00189,
      "spread": {
        "p10": -0.0848,
        "p25": -0.0423,
        "p75": 0.0417,
        "p90": 0.0967
      },
      "mfe": 0.0435,
      "mae": -0.0431,
      "break_even_hit_rate": 0.5556,
      "break_even_assumptions": {
        "bracket": 0.02,
        "round_trip_cost": 0.002225,
        "impact": 0.0
      },
      "benchmark_median_change": -0.00956,
      "interval_includes_zero": true,
      "interval_check": {
        "bootstrap_half_width": 0.0111,
        "analytic_clustered_half_width": 0.00967,
        "wilson_on_n_eff_half_width": 0.01021,
        "ratio_bootstrap_to_analytic": 1.147,
        "ratio_bootstrap_to_wilson_on_rate": 1.087
      },
      "n_eff_raw_design": 7215.5
    },
    {
      "days": 20,
      "n_eff": 9009.7,
      "hit_rate": 0.5073,
      "control_hit_rate": 0.5064,
      "lift": 0.0009,
      "lift_ci95": [
        -0.0109,
        0.0133
      ],
      "lift_ci_method": "cluster_bootstrap_date_block_B10000_BCa",
      "lift_p_value": 0.8834,
      "median_change": 0.00163,
      "control_median_change": 0.00311,
      "excess_median": -0.00148,
      "trimmed_mean_change": 0.00932,
      "spread": {
        "p10": -0.1126,
        "p25": -0.0558,
        "p75": 0.0667,
        "p90": 0.1417
      },
      "mfe": 0.0665,
      "mae": -0.0593,
      "break_even_hit_rate": 0.5556,
      "break_even_assumptions": {
        "bracket": 0.02,
        "round_trip_cost": 0.002225,
        "impact": 0.0
      },
      "benchmark_median_change": -0.0225,
      "interval_includes_zero": true,
      "interval_check": {
        "bootstrap_half_width": 0.01214,
        "analytic_clustered_half_width": 0.00966,
        "wilson_on_n_eff_half_width": 0.01032,
        "ratio_bootstrap_to_analytic": 1.256,
        "ratio_bootstrap_to_wilson_on_rate": 1.176
      },
      "n_eff_raw_design": 7022.0
    }
  ],
  "gates": [
    {
      "id": "n_eff",
      "label": "Effective sample size",
      "threshold": ">= 100",
      "observed": "9111",
      "passed": true
    },
    {
      "id": "distinct_dates",
      "label": "Distinct event dates",
      "threshold": ">= 60",
      "observed": "3092",
      "passed": true
    },
    {
      "id": "distinct_stocks",
      "label": "Distinct securities",
      "threshold": ">= 25",
      "observed": "1502",
      "passed": true
    },
    {
      "id": "calendar_span",
      "label": "Calendar span",
      "threshold": ">= 5 years",
      "observed": "14.8 years",
      "passed": true
    },
    {
      "id": "quarter_share",
      "label": "Largest share in one quarter",
      "threshold": "<= 20.0%",
      "observed": "3.5%",
      "passed": true
    },
    {
      "id": "stock_share",
      "label": "Largest share from one security",
      "threshold": "<= 5.0%",
      "observed": "0.6%",
      "passed": true
    },
    {
      "id": "censoring",
      "label": "Censoring rate",
      "threshold": "<= 2.0%",
      "observed": "0.5%",
      "passed": true
    },
    {
      "id": "control_match",
      "label": "Events on relaxation rung 3-4",
      "threshold": "<= 20.0%",
      "observed": "0.0%",
      "passed": true
    }
  ],
  "multiple_testing": {
    "variants_in_grid": 25,
    "tests_on_site": 1125,
    "bh_fdr_q": 0.1,
    "passes_fdr": true,
    "adjusted_p": 0.010125,
    "raw_p": 0.009
  },
  "years": [
    {
      "year": 2011,
      "n_eff": 73.9,
      "lift": -0.0144
    },
    {
      "year": 2012,
      "n_eff": 293.2,
      "lift": 0.012
    },
    {
      "year": 2013,
      "n_eff": 298.5,
      "lift": -0.0172
    },
    {
      "year": 2014,
      "n_eff": 332.4,
      "lift": -0.0202
    },
    {
      "year": 2015,
      "n_eff": 389.0,
      "lift": -0.0624
    },
    {
      "year": 2016,
      "n_eff": 434.3,
      "lift": -0.0293
    },
    {
      "year": 2017,
      "n_eff": 638.4,
      "lift": -0.0054
    },
    {
      "year": 2018,
      "n_eff": 625.2,
      "lift": 0.007
    },
    {
      "year": 2019,
      "n_eff": 504.3,
      "lift": -0.0009
    },
    {
      "year": 2020,
      "n_eff": 475.2,
      "lift": -0.0196
    },
    {
      "year": 2021,
      "n_eff": 654.6,
      "lift": -0.0303
    },
    {
      "year": 2022,
      "n_eff": 755.5,
      "lift": -0.0143
    },
    {
      "year": 2023,
      "n_eff": 950.2,
      "lift": 0.0195
    },
    {
      "year": 2024,
      "n_eff": 952.3,
      "lift": -0.0166
    },
    {
      "year": 2025,
      "n_eff": 1043.1,
      "lift": -0.0085
    },
    {
      "year": 2026,
      "n_eff": 642.7,
      "lift": -0.0436
    }
  ],
  "regimes": [
    {
      "trend": "above",
      "vol_tercile": 1,
      "n_eff": 31.0,
      "lift": -0.0201
    },
    {
      "trend": "above",
      "vol_tercile": 2,
      "n_eff": 32.6,
      "lift": -0.1269
    },
    {
      "trend": "above",
      "vol_tercile": 3,
      "n_eff": 142.0,
      "lift": -0.0184
    },
    {
      "trend": "below",
      "vol_tercile": 1,
      "n_eff": 3193.6,
      "lift": 0.0035
    },
    {
      "trend": "below",
      "vol_tercile": 2,
      "n_eff": 2961.8,
      "lift": -0.0127
    },
    {
      "trend": "below",
      "vol_tercile": 3,
      "n_eff": 2746.8,
      "lift": -0.0316
    }
  ],
  "robustness": {
    "split_half_same_sign": true,
    "split_half": {
      "first": -0.0172,
      "second": -0.0092
    },
    "years_positive": 13,
    "years_total": 16,
    "non_overlapping_lift": -0.0147,
    "sector_matched_lift": null,
    "cost_adjusted_lift": -0.0124,
    "censoring_worst_case_lift": -0.0155,
    "parameter_grid_median_lift": -0.0103,
    "knife_edge": false,
    "parameter_grid": {
      "axis_a": "volume_multiple",
      "axis_b": "move_cap",
      "cells": [
        {
          "a": 2.0,
          "b": 0.005,
          "lift": -0.0052,
          "n_eff": 15666.0
        },
        {
          "a": 2.0,
          "b": 0.0075,
          "lift": -0.0095,
          "n_eff": 23051.0
        },
        {
          "a": 2.0,
          "b": 0.01,
          "lift": -0.0115,
          "n_eff": 30252.0
        },
        {
          "a": 2.0,
          "b": 0.0125,
          "lift": -0.0103,
          "n_eff": 37269.0
        },
        {
          "a": 2.0,
          "b": 0.015,
          "lift": -0.0118,
          "n_eff": 44122.0
        },
        {
          "a": 2.5,
          "b": 0.005,
          "lift": -0.0093,
          "n_eff": 8297.0
        },
        {
          "a": 2.5,
          "b": 0.0075,
          "lift": -0.0136,
          "n_eff": 12163.0
        },
        {
          "a": 2.5,
          "b": 0.01,
          "lift": -0.015,
          "n_eff": 15959.0
        },
        {
          "a": 2.5,
          "b": 0.0125,
          "lift": -0.0136,
          "n_eff": 19729.0
        },
        {
          "a": 2.5,
          "b": 0.015,
          "lift": -0.0161,
          "n_eff": 23333.0
        },
        {
          "a": 3.0,
          "b": 0.005,
          "lift": -0.0039,
          "n_eff": 4944.0
        },
        {
          "a": 3.0,
          "b": 0.0075,
          "lift": -0.0096,
          "n_eff": 7207.0
        },
        {
          "a": 3.0,
          "b": 0.01,
          "lift": -0.0132,
          "n_eff": 9438.0
        },
        {
          "a": 3.0,
          "b": 0.0125,
          "lift": -0.0128,
          "n_eff": 11582.0
        },
        {
          "a": 3.0,
          "b": 0.015,
          "lift": -0.0145,
          "n_eff": 13686.0
        },
        {
          "a": 3.5,
          "b": 0.005,
          "lift": -0.004,
          "n_eff": 3124.0
        },
        {
          "a": 3.5,
          "b": 0.0075,
          "lift": -0.0064,
          "n_eff": 4509.0
        },
        {
          "a": 3.5,
          "b": 0.01,
          "lift": -0.0126,
          "n_eff": 5896.0
        },
        {
          "a": 3.5,
          "b": 0.0125,
          "lift": -0.0105,
          "n_eff": 7254.0
        },
        {
          "a": 3.5,
          "b": 0.015,
          "lift": -0.0138,
          "n_eff": 8562.0
        },
        {
          "a": 4.0,
          "b": 0.005,
          "lift": -0.0038,
          "n_eff": 2132.0
        },
        {
          "a": 4.0,
          "b": 0.0075,
          "lift": -0.0026,
          "n_eff": 3048.0
        },
        {
          "a": 4.0,
          "b": 0.01,
          "lift": -0.007,
          "n_eff": 3989.0
        },
        {
          "a": 4.0,
          "b": 0.0125,
          "lift": -0.0056,
          "n_eff": 4882.0
        },
        {
          "a": 4.0,
          "b": 0.015,
          "lift": -0.0077,
          "n_eff": 5740.0
        }
      ]
    },
    "entry_delayed_lift": -0.0126,
    "placebo_lift": 0.0026
  },
  "control_seed": 42,
  "control_stats": {
    "events": 9473,
    "events_with_controls": 9473,
    "unmatched": 0,
    "mean_controls_per_event": 19.04
  },
  "cost_assumption_source": {
    "generated_at": "2026-09-05T04:19:20Z",
    "cash_equity_rate_version": "2026-09-05"
  },
  "license": "https://creativecommons.org/licenses/by/4.0/",
  "method_url": "https://learnnifty.com/base-rates/methodology/",
  "disclaimer": "Historical frequencies only. Not investment advice, a recommendation or a price target. LearnNifty is not registered with SEBI as an Investment Adviser or Research Analyst."
}